Fama and French (1992) document a significant relation between firm size, book-to-market ratios, and security returns for nonfinancial firms. Because of their initial interest in leverage as an explanatory variable for security returns, Fama and French exclude from their analysis financial firms, thus creating a natural holdout sample on which to test the robustness of their results. The authors document that the relation between firm size, book-to-market ratios, and security returns is similar for financial and nonfinancial firms. In addition, they present evidence that survivorship bias does not significantly affect the estimated size or book-to-market premiums in returns. The authors' results indicate data-snooping and selection biases do not explain the size and book-to-market patterns in returns. Copyright 1997 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 52 (1997) Issue (Month): 2 (June) Pages: 875-83 Download reference. The following formats are available: HTML,
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